Titlebook: Numerical Solution of SDE Through Computer Experiments; Peter E. Kloeden,Eckhard Platen,Henri Schurz Textbook 1994 Springer-Verlag Berlin

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Numerical Solution of SDE Through Computer Experiments978-3-642-57913-4Series ISSN 0172-5939 Series E-ISSN 2191-6675

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Introduction to Discrete Time Approximation,ns. First, we review the use and properties of numerical methods for deterministic ordinary differential equations. Then we examine the stochastic Euler scheme in some detail, introducing the concepts of strong and weak convergence for discrete time approximations.

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Strong Approximations,s, to approximate the solutions of stochastic differential equations with respect to the strong convergence criterion. Numerical experiments will be used to investigate the convergence of these schemes.

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Numerical Solution of SDE Through Computer Experiments

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